Time-varying risk aversion and unexpected inflation

被引：152

作者：

Brandt, MW ^{[1
]}

Wang, KQ

机构：

[1] Duke Univ, Fuqua Sch Business, Durham, NC 27708 USA

[2] Natl Bur Econ Res, Cambridge, MA 02138 USA

[3] Univ Toronto, Rotman Sch Management, Toronto, ON M5S 3E6, Canada

来源：

JOURNAL OF MONETARY ECONOMICS | 2003年 / 50卷 / 07期

关键词：

time-varying risk aversion; unexpected inflation; term structure of interest rates; crosssection of stock returns; proxy hypothesis;

D O I：

10.1016/j.jmoneco.2003.08.001

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We formulate a consumption-based asset pricing model in which aggregate risk aversion is time-varying in response to both news about consumption growth (as in a habit formation model) and news about inflation. We estimate our model and explore its pricing implications for the term structure of interest rates and the cross-section of stock returns. Our empirical results support the hypothesis that aggregate risk aversion varies in response to news about inflation. The induced time-variation in risk aversion does not appear to proxy for inflation uncertainty or economic growth. (C) 2003 Elsevier B.V. All rights reserved.

引用

页码：1457 / 1498

页数：42

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